Testing the predictability of U.S. housing price index returns based on an IVX-AR model

DOI10.1080/01621459.2019.1686392zbMATH Open1452.62967OpenAlexW2986385984WikidataQ126867046 ScholiaQ126867046MaRDI QIDQ5146012FDOQ5146012

Authors: Bingduo Yang, Wei Long, Liang Peng, Zongwu Cai 

Publication date: 22 January 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2019.1686392

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zbMATH Keywords

hypothesis teststock return predictabilityserially correlated errorspredictive regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• Predictive quantile regression with persistent covariates: IVX-QR approach
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing for unit roots in autoregressive-moving average models of unknown order
• Efficient Tests for an Autoregressive Unit Root
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Data Tilting for Time Series
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Nonparametric transfer function models
• Analysis of financial time series
• Testing predictive regression models with nonstationary regressors
• Predictive regressions for macroeconomic data
• A unified test for predictability of asset returns regardless of properties of predicting variables
• Uniform interval estimation for an AR(1) process with AR errors

Cited In (8)

• A new robust inference for predictive quantile regression
• A Unified Inference for Predictive Quantile Regression
• Finite-sample size control of IVX-based tests in predictive regressions
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• Weighted nonlinear regression with nonstationary time series
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Incorporating relative error criterion to conformal prediction for positive data
• Robust inference with stochastic local unit root regressors in predictive regressions

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